A Note on Specification Testing in Some Structural Regression Models

Walter Beckert ()
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Walter Beckert: Institute for Fiscal Studies and Birkbeck, University of London

No CWP22/19, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: There exists a useful framework for jointly implementing Durbin-Wu-Hausman exogeneity and Sargan-Hansen overidenti cation tests, as a single arti cial regression. This note sets out the framework for linear models and discusses its extension to non-linear models. It also provides an empirical example and some Monte Carlo results.

Date: 2019-05-16
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